Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0125
Annualized Std Dev 0.0839
Annualized Sharpe (Rf=0%) 0.1483

Row

Daily Return Statistics

Close
Observations 4694.0000
NAs 1.0000
Minimum -0.0911
Quartile 1 -0.0021
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0024
Maximum 0.0977
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0053
Skewness 0.0265
Kurtosis 71.8383

Downside Risk

Close
Semi Deviation 0.0038
Gain Deviation 0.0040
Loss Deviation 0.0045
Downside Deviation (MAR=210%) 0.0096
Downside Deviation (Rf=0%) 0.0038
Downside Deviation (0%) 0.0038
Maximum Drawdown 0.3046
Historical VaR (95%) -0.0067
Historical ES (95%) -0.0113
Modified VaR (95%) -0.0009
Modified ES (95%) -0.0009
From Trough To Depth Length To Trough Recovery
2003-06-16 2008-10-10 2012-02-28 -0.3046 2193 1342 851
2020-03-09 2020-03-19 2020-06-30 -0.2176 80 9 71
2016-07-11 2018-11-20 2019-07-02 -0.1049 750 598 152
2012-10-16 2013-09-10 2015-01-28 -0.0996 573 225 348
2015-02-02 2016-02-17 2016-07-08 -0.0885 362 263 99

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA 1 0.1 -0.5 -1.2 0 -0.3 -0.9
2003 0.3 0 -0.1 -0.2 0 -1.1 -0.4 0 -0.4 0 -0.6 -0.2 -2.6
2004 0.2 -0.4 -0.4 0 -0.9 0.1 0.7 -0.6 -0.8 -0.8 -0.4 -0.4 -3.7
2005 -0.4 -0.4 -0.3 -0.4 0.3 -0.8 -0.6 -0.7 -0.3 -0.4 -0.6 -0.1 -4.7
2006 -0.4 -0.8 -0.2 -0.9 -0.2 0.6 -0.3 -0.6 0 -0.1 -0.3 0 -3.4
2007 -0.5 -0.4 0 -0.5 -0.8 0.6 -0.2 0.5 -1.1 0.3 0.5 0.2 -1.5
2008 0 0.6 -0.6 0.2 0.4 -0.5 -0.8 -0.2 0.5 -0.4 1.1 0.2 0.3
2009 0.7 -0.7 -0.7 -0.2 -0.5 -0.6 1.3 -1 -1.5 0.9 -0.9 -0.1 -3.3
2010 -0.9 -0.3 -0.2 0.4 -0.5 -0.3 0.5 -1.1 -0.9 -0.4 -0.6 0.2 -4
2011 -0.5 -0.4 0.1 0.2 0.1 -0.4 -0.1 -0.3 0.5 0.1 -0.1 0.4 -0.3
2012 0.1 -0.6 -0.2 -0.5 0.3 0 -0.4 0.7 0 -0.4 0 -0.5 -1.8
2013 -0.6 -0.1 -0.5 0.1 -0.5 -0.1 -1.1 0 -0.4 -0.6 -0.1 -0.3 -3.9
2014 0.3 -0.1 -0.5 0.1 0 -0.7 0.2 0.1 0.3 0 -0.6 0.1 -0.8
2015 0.8 0.2 0 -0.8 -0.8 -0.6 0.5 0.3 -0.3 0.3 0.5 0.2 0.2
2016 -0.6 -0.8 0 0.1 -0.2 0.3 -0.8 -0.3 -0.2 -0.4 -0.8 0.2 -3.5
2017 -0.4 -0.9 0.1 -0.6 -0.2 -0.1 0.1 -0.7 0.1 -0.1 0 0.1 -2.4
2018 -0.7 -0.4 0.5 -0.6 -0.5 0.1 -0.6 -0.1 -0.4 0 -0.1 0.3 -2.7
2019 -0.5 -0.5 -0.7 -0.3 0.2 -0.1 0.5 0 -0.1 -0.2 -0.2 -0.4 -2.3
2020 0.3 1.1 -1.7 -0.6 -0.3 0.2 0.1 0.4 0.1 -0.5 -0.6 0 -1.6
2021 0 -0.1 0.1 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-07-26  102. SPY    85.6  0.019     0.0105  -0.124    -0.203   -0.294   -0.371       NA <NA>     NA    NA       NA
2 2002-07-29  101. SPY    89.8  0.0487    0.0921  -0.0972   -0.160   -0.245   -0.339       NA <NA>     NA    NA       NA
3 2002-07-30  101. SPY    90.9  0.013     0.138   -0.081    -0.157   -0.228   -0.325       NA <NA>     NA    NA       NA
4 2002-07-31  102. SPY    91.2  0.00240   0.076   -0.0605   -0.165   -0.235   -0.329       NA <NA>     NA    NA       NA
5 2002-08-01  103. SPY    88.8 -0.0261    0.0569  -0.0652   -0.184   -0.262   -0.349       NA <NA>     NA    NA       NA
6 2002-08-02  103. SPY    86.8 -0.0224    0.0139  -0.0913   -0.193   -0.282   -0.354       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart